You can really really really mess up stuff with GP. You can also make life so easy with it.
If you don't want to muck with GP, you can accomplish the same thing by copying the file to your local desktop folder via a login script. Each time a user logs into the domain, the shortcut gets copied there. Off the top of my head you can save the shortcut to a network share, edit the login script(s) and have the script copy that file (drive-shortcut.lnk say) to the %allusers%\desktop folder. Or whatever variable fits your desktops... xp/vista/etc.
It's cheap and dirty, but it does work. (I've had to do something similar to link all the SAV clients to a different server one time... this is a long time ago so some playing is definitely required on it before putting it into production.)